State whether the Portfolio Nature is Defensive/Aggressive. Weight on XOM Weight on PFE Portfolio Return Portfolio Beta Portfolio Standard Deviation**** Portfolio Nature: Defensive/Aggressive 0 1 -0.0016 0.2854 0.0439 0.1 0.9 -0.0025 0.3069 0.0420 0.2 0.8 -0.0034 0.3285 0.0408 0.3 0.7 -0.0044 0.3501 0.0405 0.4 0.6 -0.0053 0.3717 0.0410 0.5 0.5 -0.0063 0.3932 0.0424 0.6 0.4 -0.0072 0.4148 0.0445 0.7 0.3 -0.0081 0.4364 0.0472 0.8 0.2 -0.0091 0.4579 0.0504 0.9 0.1 -0.0100 0.4795 0.0541 1 0 -0.0110 0.5011 0.0582

State whether the Portfolio Nature is Defensive/Aggressive. Weight on XOM Weight on PFE Portfolio Return Portfolio Beta Portfolio Standard Deviation**** Portfolio Nature: Defensive/Aggressive 0 1 -0.0016 0.2854 0.0439 0.1 0.9 -0.0025 0.3069 0.0420 0.2 0.8 -0.0034 0.3285 0.0408 0.3 0.7 -0.0044 0.3501 0.0405 0.4 0.6 -0.0053 0.3717 0.0410 0.5 0.5 -0.0063 0.3932 0.0424 0.6 0.4 -0.0072 0.4148 0.0445 0.7 0.3 -0.0081 0.4364 0.0472 0.8 0.2 -0.0091 0.4579 0.0504 0.9 0.1 -0.0100 0.4795 0.0541 1 0 -0.0110 0.5011 0.0582

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 13QTD

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Are these defensive or aggressive in nature Weight on PG Weight on F Portfolio Return Portfolio Beta Portfolio Standard Deviation **** Portfolio Nature: Defensive/Aggressive 0 1 -0.0112 -0.8198 0.0715 0.01 0.9 -0.0096 -0.7612 0.0654 0.02 0.8 -0.0080 -0.7026 0.0597 0.3 0.7 -0.0063 -0.6440 0.0543 0.4 0.6 -0.0047 -0.5854 0.0496 0.5 0.5 -0.0030 -0.5267 0.0455 0.6 0.4 -0.0014 -0.4681 0.0425 0.7 0.3 0.0003 -0.4095 0.0405 0.8 0.2 0.0019 -0.3509 0.0399 0.9 0.1 0.0036 -0.2923 0.0407 1 0 0.0052 -0.2337 0.0428
Consider the following performance data for a portfolio manager: Benchmark Portfolio Index Portfolio Weight Weight Return Return Stocks 0.65 0.7 0.11 0.12 Bonds 0.3 0.25 0.07 0.08 Cash 0.05 0.05 0.03 0.025 a.Calculate the percentage return that can be attributed to the asset allocation decision. b.Calculate the percentage return that can be attributed to the security selection decision.
Consider a portfolio consisting of the below securities with the below characteristics: Security Amount Invested($) Beta Expected Return A 1,5 MIL 1.0 12.0%B 1.0 MIL 1.5 13.5%C 2.0 MIL 0.8 9.0% Required:a) Calculate the portfolio’s Beta. b) Calculate the portfolio’s expected return. c) Discuss the Capital Asset Pricing Model (CAPM) explaining what it is used forand which are its limitations.
Consider following information on a risky portfolio, risk-free asset and the market index. What is the T2 of the risky portfolio? Risky portfolio Risk-free asset Market index Average return 8.2% 2% 6% Std. Dev. 26% 20% Residual std. dev. 10% Alpha 1.4% Beta 1.2
Which of the following statements is true regarding the optimal risky portfolio: It is designated by the point of tangency with iso-utility curve and the capital allocation line. It is designated by the point of highest Sharpe ratio in the opportunity set. It is designed by the point of tangency with the opportunity set and the securities market line. This portfolio gives the highest standard deviation risk per unit of risk premium in the opportunity set.
Consider following information on a risky portfolio, risk-free asset and the market index. What is the Sharpe ratio of the market index? Risky portfolio Risk-free asset Market index Average return 8.2% 2% 6% Std. Dev. 26% 20% Residual std. dev. 10% Alpha 1.4% Beta 1.2
As a portfolio manager, you are required to take investment decision from the following two alternative scenarios: (Decision Criterion: Select a portfolio on relative risk basis) Scenario 1: Construct a portfolio with 60% investment in ICC: Expected Return (in %) Risk (as Std Div.) Covariance BPL 12 4 BPL & ICC: -1.2 ICC 7 2 Scenario 2: Construct equal weighted portfolios from following securities Expected Return (in %) Risk (as Std Div.) Covariance PSL 11 5 PSL & IPL: 3.75 IPL 8 3
The return, standard deviation, market risk premium and Beta (β) of A, B, C, D and the Market Portfolio and the risk-free interest rate are given in the table below. Find the performance of portfolios (excluding Sortino). portfolio return (rp) risk free interest rate (rf) std. deviation Beta market risk premium (rp- rf) A 18,00 11,00 6,00 1,24 7,00 B 12,00 11,00 2,00 0,87 1,00 C 9,00 11,00 0,50 - 0,73 - 2,00 D 15,00 11,00 3,00 0,46 4,00 Market 13,00 11,00 1,50 1 2,00
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An investor is trying to decide between Portfolio ST and Portfolio BT. Portfolio ST comprises of stocksfrom the tech, financial and construction industry, while Portfolio BT includes stock from tech and financial industries only. The table below contains information on both portfolios. Which portfolio is the optimal portfolio considering the threshold level? Why do you think portfolio BT has a higher standard deviation than portfolio ST?
Which of the following statements regarding non-systematic risk, systematic risk and total risk is/are true? Select one or more:a. As the number of assets within a portfolio increases, the total risk of a portfolio will go to zero.b. A riskfree asset must have zero non-systematic risk.c. A well diversified portfolio must have zero systematic riskd. Under the Capital Asset Pricing Model (CAPM).an asset with zero systematic risk must have expected return equal to the riskfree rate.

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Weight on XOM	Weight on PFE	Portfolio Return	Portfolio Beta	Portfolio Standard Deviation****	Portfolio Nature: Defensive/Aggressive
0	1	-0.0016	0.2854	0.0439
0.1	0.9	-0.0025	0.3069	0.0420
0.2	0.8	-0.0034	0.3285	0.0408
0.3	0.7	-0.0044	0.3501	0.0405
0.4	0.6	-0.0053	0.3717	0.0410
0.5	0.5	-0.0063	0.3932	0.0424
0.6	0.4	-0.0072	0.4148	0.0445
0.7	0.3	-0.0081	0.4364	0.0472
0.8	0.2	-0.0091	0.4579	0.0504
0.9	0.1	-0.0100	0.4795	0.0541
1	0	-0.0110	0.5011	0.0582